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Volatility is the language in which finance often describes risk, but it is not the language in which institutions experience risk. Allocators live through drawdowns, liquidity needs, spending rules, rebalance decisions, board oversight,…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
Digitalization efforts often face a key challenge: business processes must not only be efficient in achieving their goals but also adhere to legal regulations. Business process compliance refers to aligning processes with these regulations.…
Regularization is used in many different areas of optimization when solutions are sought which not only minimize a given function, but also possess a certain degree of regularity. Popular applications are image denoising, sparse regression…
Context: In recent decades, many financial markets and their participants have changed their working method from a completely manual and traditional one to an automatic one, benefiting from complex software systems. There are different…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
For centuries, financial institutions have responded to liquidity challenges by forming closed, centralized clearing clubs with strict rules and membership that allow them to collaborate on using the least money to discharge the most debt.…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such…
Software Engineering and the implementation of software has become a challenging task as many tools, frameworks and languages must be orchestrated into one functioning piece. This complexity increases the need for testing and analysis…
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline…
Regularization is an effective way to promote the generalization performance of machine learning models. In this paper, we focus on label smoothing, a form of output distribution regularization that prevents overfitting of a neural network…
In Software Product Line Engineering (SPLE), a portfolio of similar systems is developed from a shared set of software assets. Claimed benefits of SPLE include reductions in the portfolio size, cost of software development and time to…
We present a new multi-layer peeling technique to cluster points in a metric space. A well-known non-parametric objective is to embed the metric space into a simpler structured metric space such as a line (i.e., Linear Arrangement) or a…
This paper covers a massive acceleration of Monte-Carlo based pricing method for financial products and financial derivatives. The method is applicable in risk management settings, where a financial product has to be priced under a number…
We propose a novel method for modeling data by using structural models based on economic theory as regularizers for statistical models. We show that even if a structural model is misspecified, as long as it is informative about the…
Decentralized Exchanges are becoming even more predominant in today's finance. Driven by the need to study this phenomenon from an academic perspective, the SIAG/FME Code Quest 2023 was announced. Specifically, participating teams were…
A major determinant of the quality of software systems is the quality of their requirements, which should be both understandable and precise. Most requirements are written in natural language, good for understandability but lacking in…